Arbeitspapier
A Bivariate Distribution for Inflation and Output Forecasts
The contribution of this paper is to derive a bivariate distribution for inflation and output uncertainty with a well-defined role for subjective judgements. The marginal distributions for inflation and output growth are derived from uncertainty in the macro variables that are deemed to be important for future inflation and output growth. The uncertainty in the macro variables is based on their historical standard deviations, but we allow these to be subjectively adjusted if there is reason to be more or less uncertain than historically. We also allow for a subjective assessment of the balance of risk, i.e. whether the distributions are symmetric or not. Given the marginal distributions for inflation and output growth we derive a bivariate distribution using the translation method. Having derived the bivariate distribution we are in a position to discuss inflation forecast uncertainty conditional on the growth of output (or vice versa). The analysis can readily be extended to the case of more than two variables.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 102
- Klassifikation
-
Wirtschaft
Econometric and Statistical Methods: Other
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Other
- Thema
-
Inflation forecast
Output forecast
Conditional forecasts
Two-piece normal distribution
Translation method
Johnson system
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Blix, Mårten
Sellin, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
2000
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Blix, Mårten
- Sellin, Peter
- Sveriges Riksbank
Entstanden
- 2000
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